نتایج جستجو برای: efficient portfolio

تعداد نتایج: 453083  

Journal: :Entrepreneurship and Sustainability Issues 2019

Journal: :INFOR 2009
Matthias Ehrgott Chris Waters Refail Kasimbeyli Ozden Ustun

In recent years portfolio optimization models that consider more criteria than the standard expected return and variance objectives of the Markowitz model have become popular. For such models, two approaches to find a suitable portfolio for an individual investor are possible. In the multiattribute utility theory (MAUT) approach a utility function is constructed based on the investor’s preferen...

2002
Paul R. Kleindorfer Lide Li

The problem of interest in this paper is the optimization of portfolios of real and contractual assets, including derivative instruments, subject to a Value-at-Risk (VaR) constraint. The focus in this paper is on translating VaR definitions for one period of time, say a year, to decisions on shorter periods of time, say a week or a month. Thus, if a VaR constraint is imposed on annual cash flow...

Journal: :Annals OR 2013
David Plà-Santamaria Mila Bravo

To create efficient funds appealing to a sector of bank clients, the objective of minimizing downside risk is relevant to managers of funds offered by the banks. In this paper, a case focusing on this objective is developed. More precisely, the scope and purpose of the paper is to apply the mean-semivariance efficient frontier model, which is a recent approach to portfolio selection of stocks w...

Journal: :تحقیقات مالی 0
سعید قدوسی کارشناس‎ارشد مدیریت مالی، دانشگاه تهران، تهران، ایران رضا تهرانی دانشیار مدیریت مالی، دانشکدۀ مدیریت دانشگاه تهران، تهران، ایران مهدی بشیری دانشیار مهندسی صنایع، دانشکدۀ فنی دانشگاه شاهد، تهران، ایران

the markowitz issue of optimization can’t be solved by precise mathematical methods such as second order schematization, when real world condition and limitations are considered. on the other hand, most managers prefer to manage a small portfolio of available assets in place of a huge portfolio. it can be analogized to cardinal constrains, that is, constrains related to minimum and maximum curr...

Journal: :journal of industrial strategic management 0
farshad faezy razi department of industrial management, semnan branch, islamic azad university, semnan, iran. abolfazl danaei department of industrial management, semnan branch, islamic azad university, semnan, iran. rahele sadat khatami department of industrial management, semnan branch, islamic azad university, semnan, iran.

in the science of operation research and decision theory, selection is the most important process. selection is a process that studies multiple qualitative and quantitative criteria, related to the science of management, which are mostly incompatible with each other. the multi criteria selection of a renewable energy portfolio is one of the main issues considered in multi criteria literature. i...

Journal: :تحقیقات اقتصادی 0
ابراهیم عباسی دانشگاه الزهرا بابک تیمورپور مؤسسه‎ی عالی آموزش و پژوهش مدیریت و برنامه ریزی منوچهر برجسته ملکی

this research aims to use var as a risk measure to find the optimum portfolio in tehran stock exchange. in this research var which is calculated with parametric method by using the 15 daily returns of 100 companies from march 21, 2001 to november 22, 2007 was added to the markowitz model of portfolio optimization as additional constraint. by changing the accepted var and accepted confidence lev...

1999

Is Beta Dead?” (Wallace [1980]) and other recent articles have asked whether broad consequences, disastrous to modern investment technology, would result from misspecification of the Capital Asset Pricing Model (CAPM), or worse yet, from falsehood of the model. The criticisms have cited imprecise specification of the market portfolio as a misapplication of the CAPM, and have emphasized the diff...

Journal: :Information Technology and Management 2013
Wooje Cho Michael J. Shaw H. Dharma Kwon

This paper investigates how firms can use synergy to optimize their information technology portfolios. We begin by developing a framework for the portfolio selection by identifying three types of information technology synergy. Next, we use this framework to examine the impact of different types of synergy on the portfolio selection. Analytical models are developed to illustrate the roles of di...

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